Risk-consistent conditional systemic risk measures

Hoffmann, Hannes; Meyer-Brandis, Thilo und Svindland, Gregor (2016): Risk-consistent conditional systemic risk measures. In: Stochastic Processes and their Applications, Bd. 126, Nr. 7: S. 2014-2037

Abstract

We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional aggregation and a univariate conditional risk measure. Our studies extend known results for unconditional risk measures on finite state spaces. We argue in favor of a conditional framework on general probability spaces for assessing systemic risk. Mathematically, the problem reduces to selecting a realization of a random field with suitable properties. Moreover, our approach covers many prominent examples of systemic risk measures from the literature and used in practice. (C) 2016 Elsevier B.V. All rights reserved.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik ; Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 0304-4149
• Sprache: Englisch